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Consumption smoothing and the equity premium
(Vanderbilt University, 2010)
Abstract: The paper investigates the role of the Intertemporal Elasticity of Substitution () in determining the equity premium. This is done in an overlapping generations economy populated by agents that live for 2 periods ...
Substitution, Risk Aversion and Asset Prices: An Expected Utility Approach
(Vanderbilt University, 2008)
The standard power utility function is widely used to explain asset prices. It assumes that the coefficient of relative risk aversion is the inverse of the elasticity of substitution. Here I use the Kihlstrom and Mirman ...